基于多分辨分析的股市与债市溢出效应研究  

Research on Spillover Effect between the Stock Market and the Bond Market Based on Multi-resolution Analysis

作　　者：胡秋灵[1] 马丽[1] 

机构地区：[1]陕西师范大学国际商学院,陕西西安710062

出　　处：《金融理论与实践》2011年第10期91-93,共3页Financial Theory and Practice

基　　金：国家人文社会科学基金项目"完善农村金融体系和强化农村金融服务--基于西部贫困;不发达农村地区的研究"(07BJY169);教育部人文社科基金项目"预期;不确定性与最优货币政策研究"(06JA790068);陕西师范大学"211工程"三期重点学科建设项目"中国特色社会主义发展经济学研究";陕西师范大学人文社会科学基金重点项目"中国证券市场权证定价方法研究"(09SZD11)的资助

摘　　要：运用多分辨分析研究我国股市与债市溢出效应,对两市收益率序列作信号分解,分解为高频信号和低频信号,比较各层信号占原始信号的能量比发现,股市高频信号占原始信号的能量比远大于低频信号,而债市高频信号和低频信号所占能量比基本持平,从而说明了我国股市主要受短期因素影响,波动较大,而债市波动较小。高频信号的Granger因果关系检验表明,股市与债市之间存在溢出效应,但溢出效应是单向的,即只存在股市向债市的溢出效应,这与债市作为金融市场的"避风港"有关。In this paper,the spillover effect between the stock market and the bond market in China was studied by multi-resolution analysis.The daily return time series were decomposed into high-frequency signal and low-frequency signal.The energy proportions of different frequency components to the original signal were compared,the results show that the high-frequency signal represents much more energy than the low-frequency signal in the stock market,but the high-frequency signal is as the same as the low-frequency signal in the bond market.Therefore,the stock market which is mainly affected by short-term factors is volatile greatly,but the bond market volatility is smaller.The Granger causality test of the high-frequency signals shows that there is spillover effect between the stock market and the bond market,but the spillover effect is one-way which is from the stock market to the bond market.This is because the bond market is a ＂haven＂ in the financial markets.

关 键 词：股票市场 债券市场 小波分析 多分辨分析 GRANGER因果关系 溢出效应 

分 类 号：F830.91[经济管理—金融学]